Termination of Volatility Quoted Options on Foreign Exchange Futures

To

Members, Member Firms and Market Users

From

Research and Product Development

#

SER-6696

Notice Date

17 June 2013

Effective Date

23 June 2013

Chicago Mercantile Exchange Inc. (“CME” or “Exchange”) is amending the trading rules and regulations to eliminate volatility quoted price increments for options on the Exchange’s six major currency futures (i.e., the Australian dollar, British pound, Canadian dollar, Euro, Japanese yen, and Swiss franc versus the U.S. dollar), the options on the three onshore Chinese renminbi futures (versus the U.S. dollar, Euro, and Japanese yen), and the option on the Korean won/U.S. dollar futures.

Pending relevant regulatory review periods, these modifications will become effective on Sunday, June 23, 2013 for trade date Monday, June 24, 2013. CME will apply these amendments to all option expiries as of the effective date.

The price of an option shall be quoted in U.S. dollars per British pound sterling. Each $0.0001 per British pound sterling (one point) shall represent $6.25. For example, a quote of .0070 represents an option price of $437.50 (70 points x $6.25 per point) of premium. The minimum fluctuation shall be one point (also known as one tick).

The price of an option shall be quoted in U.S. dollars per Canadian dollar. Each $0.0001 per Canadian dollar (one point) shall represent $10.00. For example, a quote of .0075 represents an option price of $750.00 (75 points x $10.00 per point) of premium. The minimum fluctuation shall be one point (also known as one tick). A trade may also occur at a price of $.00005 ($5, also known as one-half tick), $.00015 ($15, also known as one and one-half ticks), $.00025 ($25, also known as two and one-half ticks), $.00035 ($35, also known as three and one-half ticks), and $.00045 ($45, also known as four and one-half ticks).

Attachment 3

Revised Rules to

Options on Japanese Yen/U.S. Dollar (“JPY/USD”) Futures

Chapter 253A: Options on Japanese Yen/U.S. Dollar (“JPY/USD”) Futures

253A01.C. Price Increments

The price of an option shall be quoted in U.S. dollars per Japanese yen. Each $0.000001 per Japanese yen (one point) shall represent $12.50. For example, a quote of .000075 represents an option price of $937.50 (75 points x $12.50 per point) of premium. The minimum fluctuation shall be one point (also known as one tick). A trade may also occur at a price of $.0000005 ($6.25, also known as one-half tick), $.0000015 ($18.75, also known as one and one-half ticks), $.0000025 ($31.25, also known as two and one-half ticks), $.0000035 ($43.75, also known as three and one-half ticks), and $.0000045 ($56.25, also known as four and one-half ticks).

Attachment 4

Revised Rules to

Options on Swiss Franc/U.S. Dollar (“CHF/USD”) Futures

Chapter 254A: Options on Swiss Franc/U.S. Dollar (“CHF/USD”) Futures

254A01.C. Price Increments

The price of an option shall be quoted in U.S. dollars per Swiss franc. Each $0.0001 per Swiss franc (one point) shall represent $12.50. For example, a quote of .0075 represents an option price of $937.50 (75 points x $12.50 per point) of premium. The minimum fluctuation shall be one point (also known as one tick). A trade may also occur at a price of $.00005 ($6.25, also known as one-half tick), $.00015 ($18.75, also known as one and one-half ticks), $.00025 ($31.25, also known as two and one-half ticks), $.00035 ($43.75, also known as three and one-half ticks), and $.00045 ($56.25, also known as four and one-half ticks).

The price of an option shall be quoted in U.S. dollars per Australian dollar. Each $0.0001 per Australian dollar (one point) shall represent $10.00. For example, a quote of .0075 represents an option price of $750.00 (75 points x $10.00 per point) of premium. The minimum fluctuation shall be one point (also known as one tick). A trade may also occur at a price of $.00005 ($5, also known as one-half tick), $.00015 ($15, also known as one and one-half ticks), $.00025 ($25, also known as two and one-half ticks), $.00035 ($35, also known as three and one-half ticks), and $.00045 ($45, also known as four and one-half ticks).

Attachment 6

Revised Rules to

Options on Euro/U.S. Dollar (“EUR/USD”) Futures

Chapter 261A: Options on Euro/U.S. Dollar (“EUR/USD”) Futures

261A01.C. Price Increments

The price of an option shall be quoted in U.S. dollars per Euro. Each $0.0001 per Euro (one point) shall represent $12.50. For example, a quote of .0075 represents an option price of $937.50 (75 points x $12.50 per point) of premium. The minimum fluctuation shall be one point (also known as one tick). A trade may also occur at a price of $.00005 ($6.25, also known as one-half tick), $.00015 ($18.75, also known as one and one-half ticks), $.00025 ($31.25, also known as two and one-half ticks), $.00035 ($43.75, also known as three and one-half ticks), and $.00045 ($56.25, also known as four and one-half ticks).

The price of an option shall be quoted in U.S. dollars per Chinese renminbi. Each $.00001 per Chinese renminbi (one point x $10 per point) shall represent $10.00. For example, a quote of .00065 represents an option price of $650.00 (65 points x $10.00 per point). The minimum fluctuation shall be one point (also known as one tick). A trade may also occur at a price of $.000005 ($5.00, also known as one-half tick), $.000015 ($15.00), $.000025 ($25.00), $.000035 ($35.00), $.000045 ($45.00), which are less than 5 ticks of premium).

Attachment 8

Revised Rules to

Options on Korean Won/U.S. Dollar (“KRW/USD”) Futures

Chapter 271A: Options on Korean Won/U.S. Dollar (“KRW/USD”) Futures

271A01.C. Price Increments

The price of an option shall be quoted in U.S. dollars per Korean won. Each $.0000001 per Korean won (one point) shall represent $12.50. For example, a quote of .0000063 represents an option price of $787.50 (63 points x $12.50 per point). The minimum fluctuation shall be one point (also known as one tick).

The price of an option shall be quoted in Euro per Chinese renminbi. Each .00001 Euro per Chinese renminbi (one point x €10.00 per point) shall represent 10 Euro. For example, a quote of .00065 represents an option price of €650.00 (65 points x €10.00 per point). The minimum fluctuation shall be one point (also known as one tick). A trade may also occur at a price of €.000005 (€5.00, also known as one-half tick), €0.000015 (€15.00), €0.000025 (€25.00), €0.000035 (€35.00), €0.000045 (€45.00), which are less than 5 ticks of premium).

The price of an option shall be quoted in Japanese yen per Chinese renminbi. Each .001 Japanese yen per Chinese renminbi (one point x ¥1,000 per point) shall represent 1,000 Japanese yen. For example, a quote of .065 represents an option price of ¥65,000 (65 points x ¥1,000 per point). The minimum fluctuation shall be one point (also known as one tick). A trade may also occur at a price of ¥.0005 (¥500, also known as one-half tick), ¥0.0015 (¥1,500), ¥0.0025 (¥2,500), ¥0.0035 (¥3,500), ¥0.0045 (¥4,500), which are less than 5 ticks of premium).

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